Statistical regularities in the return intervals of volatility
DOI10.1140/EPJB/E2006-00356-9zbMATH Open1189.91134OpenAlexW2039243282MaRDI QIDQ978840FDOQ978840
Authors: J. Martínez 
Publication date: 25 June 2010
Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1140/epjb/e2006-00356-9
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Cites Work
- The pricing of options and corporate liabilities
- Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
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- Introduction to Econophysics
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- More statistical properties of order books and price impact
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Option pricing: A simplified approach
- Varieties of long memory models
- Order book approach to price impact
- Theory of Financial Risk and Derivative Pricing
- Large stock price changes: volume or liquidity?
- Multiscale behaviour of volatility autocorrelations in a financial market
- LÉVY FLIGHTS: CHAOTIC, TURBULENT, AND RELATIVISTIC
- Microscopic models for long ranged volatility correlations
Cited In (6)
- Volatility return intervals analysis of the Japanese market
- Long memory behavior of returns after intraday financial jumps
- Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
- Statistical properties of long return times in type I intermittency
- Modeling the variance of return intervals toward volatility prediction
- Early warning of large volatilities based on recurrence interval analysis in Chinese stock markets
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